Jump detection via expanding-window Z-score on SPY and BRK.B (2020-2025) + logistic regression using Loughran-McDonald NLP sentiment from 48 SEC 8-K filings. McFadden R²=0.50. VCU FIRE 691.
python nlp sentiment-analysis logistic-regression crsp loughran-mcdonald berkshire-hathaway sec-8k jump-detection
-
Updated
Jun 18, 2026 - Python